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Quantamize Midday Volatility Report

Apr 04, 2018

Commentary:

Major volatility this morning as markets were down substantially this morning on China tariff news, but worked their way back to unchanged, but have backed off slightly (on a relative basis) and are now in the red with the S&P 500 down .3%, the Russell 2000 unchanged, and the Nasdaq down .37%. Bonds were up earlier on a flight to quality but are now unchanged. Gold is up slightly, and oil is down .6%. Volatilites are higher though well off earlier highs with the VIX up 3.6% top 21.86, RVX unchanged at 22.2, and VXN down slightly at 27.84. Option flow is generally bullish in nature. We are seeing new long positions in individual names, while ETF flow is generally rolling or closing.